Optimizacijske metode

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Optimizacijske metode - vaje 28.5.2021


Fisherjev model trga

\[\begin{aligned} a_i &> 0 \quad \text{kapital kupca $i = 1, \dots, m$} \\ u_{ij} &\ge 0 \quad \text{zadovoljstvo kupca $i = 1, \dots, m$ z dobrino $j = 1, \dots, n$} \\ p_j &> 0 \quad \text{cena dobrine $j = 1, \dots, n$} \\ x_{ij} &\ge 0 \quad \text{količina dobrine $j = 1, \dots, n$, ki jo kupi kupec $i = 1, \dots, m$} \end{aligned}\]

Eisenberg-Galeov konveksni program:

\[\begin{aligned} \Omega &= \left\{x \in \mathbb{R}^{mn} \mid \forall i = 1, \dots, m : \sum_{j=1}^n u_{ij} x_{ij} > 0\right\} \\[2ex] -\min &\ -\sum_{i=1}^m a_i \log \left(\sum_{j=1}^n u_{ij} x_{ij}\right) \\[1ex] \sum_{i=1}^m x_{ij} &\le 1 \quad \text{za } j = 1, \dots, n \\ x_{ij} &\ge 0 \quad \text{za } i = 1, \dots, m, \ j = 1, \dots, n \end{aligned}\]

Zapišimo Lagrangeevo funkcijo:

\[\begin{aligned} f(x) &= -\sum_{i=1}^m a_i \log \left(\sum_{j=1}^n u_{ij} x_{ij}\right) \\ g_j(x) &= \sum_{i=1}^m x_{ij} - 1 \\ h_{ij}(x) &= -x_{ij} \\[1ex] L(x) &= f(x) + \sum_{j=1}^n p_j g_j(x) + \sum_{i=1}^m \sum_{j=1}^n \mu_{ij} h_{ij}(x) \end{aligned}\]

Naloga 1

Trgovec z začimbami na bazarju ima zalogo $50$kg cimeta in $2$kg žafrana. Njegovi glavni kupci so Arabci, ki mu tedensko prinesejo $550.000$ dinarjev prometa, in Berberi, ki mu tedensko prinesejo $250.000$ dinarjev prometa. Zadovoljstvo Arabca ob nakupu kilograma cimeta je $5$, ob nakupu kilograma žafrana pa $360$. Zadovoljstvo Berbera ob nakupu kilograma cimeta je $4$, ob nakupu kilograma žafrana pa $440$. Kako naj trgovec postavi izklicne cene, da bodo ravnovesne in da bo zadovoljstvo kupcev čim večje?


\[\begin{aligned} a_A &= 550 \\ a_B &= 250 \\ u_{Ac} &= 250 \\ u_{Až} &= 720 \\ u_{Bc} &= 200 \\ u_{Bž} &= 880 \\[1ex] L &= -550 \log(250 x_{Ac} + 720 x_{Až}) - 250 \log(200 x_{Bc} + 880 x_{Bž}) + \\ &\ + p_c (x_{Ac} + x_{Bc} - 1) + p_ž (x_{Až} + x_{Bž} - 1) \\ &\ - \mu_{Ac} x_{Ac} - \mu_{Až} x_{Až} - \mu_{Bc} x_{Bc} - \mu_{Bž} x_{Bž} \\[1ex] L_{Ac} &= {-550 \cdot 250 \over 250 x_{Ac} + 720 x_{Až}} + p_c - \mu_{Ac} = 0 \\ L_{Až} &= {-550 \cdot 720 \over 250 x_{Ac} + 720 x_{Až}} + p_ž - \mu_{Až} = 0 \\ L_{Bc} &= {-250 \cdot 200 \over 200 x_{Bc} + 880 x_{Bž}} + p_c - \mu_{Bc} = 0 \\ L_{Bž} &= {-250 \cdot 880 \over 200 x_{Bc} + 880 x_{Bž}} + p_ž - \mu_{Bž} = 0 \\[1ex] g_c = g_ž &= 0 \\ x_{Bc} &= 1 - x_{Ac} \\ x_{Bž} &= 1 - x_{Až} \\[1ex] L_{Ac} &= {-550 \cdot 250 \over 250 x_{Ac} + 720 x_{Až}} + p_c - \mu_{Ac} = 0 \\ L_{Až} &= {-550 \cdot 720 \over 250 x_{Ac} + 720 x_{Až}} + p_ž - \mu_{Až} = 0 \\ L_{Bc} &= {-250 \cdot 200 \over 200 (1 - x_{Ac}) + 880 (1 - x_{Až})} + p_c - \mu_{Bc} = 0 \\ L_{Bž} &= {-250 \cdot 880 \over 200 (1 - x_{Ac}) + 880 (1 - x_{Až})} + p_ž - \mu_{Bž} = 0 \\[1ex] \end{aligned}\]
  1. \[\begin{aligned} h_{Bc} &= 0 = x_{Bc} \\ x_{Ac} &= 1 \\ h_{Ac} &< 0 \\ \mu_{Ac} &= 0 \\[1ex] L_{Ac} &= {-550 \cdot 250 \over 250 + 720 x_{Až}} + p_c = 0 \\ L_{Až} &= {-550 \cdot 720 \over 250 + 720 x_{Až}} + p_ž - \mu_{Až} = 0 \\ L_{Bc} &= {-250 \cdot 200 \over 880 (1 - x_{Až})} + p_c - \mu_{Bc} = 0 \\ L_{Bž} &= {-250 \over 1 - x_{Až}} + p_ž - \mu_{Bž} = 0 \\[1ex] \end{aligned}\]
    1. \[\begin{aligned} h_{Až} &= 0 = x_{Až} \\ x_{Bž} &= 1 \\ h_{Bž} &< 0 \\ \mu_{Bž} &= 0 \\[1ex] L_{Ac} &= -550 + p_c = 0 \\ L_{Až} &= {-550 \cdot 720 \over 250} + p_ž - \mu_{Až} = 0 \\ L_{Bc} &= {-250 \cdot 200 \over 880} + p_c - \mu_{Bc} = 0 \\ L_{Bž} &= -250 + p_ž = 0 \\[1ex] p_c &= 550 \\ p_ž &= 250 \\ \mu_{Až} &= 250 - {550 \cdot 720 \over 250} < 0 \end{aligned}\]
    2. \[\begin{aligned} h_{Až} &< 0 \\ x_{Až} &> 0 \\ \mu_{Až} &= 0 \\[1ex] L_{Ac} &= {-550 \cdot 250 \over 250 + 720 x_{Až}} + p_c = 0 \\ L_{Až} &= {-550 \cdot 720 \over 250 + 720 x_{Až}} + p_ž = 0 \\ L_{Bc} &= {-250 \cdot 200 \over 880 (1 - x_{Až})} + p_c - \mu_{Bc} = 0 \\ L_{Bž} &= {-250 \over 1 - x_{Až}} + p_ž = 0 \\[1ex] x_{Až} &< 1 \\ x_{Bž} &> 0 \\ h_{Bž} &< 0 \\ \mu_{Bž} &= 0 \\ {550 \cdot 720 \over 250 + 720 x_{Až}} &= {250 \over (1 - x_{Až})} \\ 250 (250 + 720 x_{Až}) &= 550 \cdot 720 (1 - x_{Až}) \\ 800 \cdot 720 x_{Až} &= 550 \cdot 720 - 250 \cdot 250 \\ x_{Až} &= 0.58 \\ x_{Bž} &= 0.42 \\ p_ž & = 593.81 \\ p_c &= 206.19 \\ \mu_{Bc} &= 71.23 \end{aligned}\]

Naloga 2

Definirajmo množico

\[\Omega = \{(x, y) \in \mathbb{R}^2 \mid x^2 + y^2 < 4\}\]

in preslikavo

\[\begin{aligned} f &: \Omega \to \mathbb{R} \\ f &: (x, y) \mapsto - x^4 - 2x^2 y^2 - y^4 + 54x^2 + 54y^2 - 184y + 666 \end{aligned}\]

S Karush-Kuhn-Tuckerjevimi pogoji dokaži, da je $(x, y) = (0, 1)$ optimalna rešitev problema vezanih ekstremov z neenačbami

\[\begin{aligned} \min \quad f(x, y) \\[1ex] x \le 1 \\ y \le 1 & . \end{aligned}\]
\[\begin{aligned} g_1 &= x - 1 \\ g_2 &= y - 1 \\ H_f &= \begin{pmatrix} -12x^2 - 4y^2 + 108 & -8xy \\ -8xy & -4x^2 - 12y^2 + 108 \end{pmatrix} \\ 3x^2 + y^2 &\le 3(x^2 + y^2) < 12 \le 27 \\ \det H_f &= (-12x^2 - 4y^2 + 108) (-4x^2 - 12y^2 + 108) - 64 x^2 y^2 \\ &= 48x^4 + 96 x^2 y^2 + 48y^4 - 1296 x^2 - 1296 y^2 + 108^2 \\ {1 \over 48} \det H_f &= x^4 + 2 x^2 y^2 + y^4 - 27 x^2 - 27 y^2 + 243 \\ &= (x^2 + y^2)^2 - 27 (x^2 + y^2) + 243 \\ &> (x^2 + y^2)^2 - 108 + 243 > 0 \end{aligned}\] \[\begin{aligned} L(x, y) &= - x^4 - 2x^2 y^2 - y^4 + 54x^2 + 54y^2 - 184y + 666 + \lambda_1 (x - 1) + \lambda_2 (y - 1) \\ L_x(x, y) &= -4x^3 - 4x y^2 + 108x + \lambda_1 = 0 \\ L_y(x, y) &= -4x^2 y - 4y^3 + 108y - 184 + \lambda_2 = 0 \\[1ex] g_1(0, 1) &= -1 \\ g_2(0, 1) &= 0 \\ L_x(0, 1) &= \lambda_1 = 0 \\ L_y(0, 1) &= -4 + 108 - 184 + \lambda_2 = 0 \\ \lambda_2 &= 80 \end{aligned}\]